Sebastian Kripfganz Dear Sebastian, I have a question to you about Sargan-Hansen test. How should I interpret diverged 2-step and 3-step weighting matrix results like statistics below?
2-step moment functions, 2-step weighting matrix chi2(2) = 3.1408
Prob > chi2 = 0.2080
2-step moment functions, 3-step weighting matrix chi2(2) = 11.5937
Prob > chi2 = 0.0030
Thanks in advance!
Best regards,
Nursena
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